The role of carry trades on the effectiveness of Japan's quantitative easing - Archive ouverte HAL
Article Dans Une Revue International Economics Année : 2020

The role of carry trades on the effectiveness of Japan's quantitative easing

Thomas Chuffart
  • Fonction : Auteur
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Cyril Dell'Eva
  • Fonction : Auteur

Résumé

This paper investigates how carry trades altered the efficiency of the Japanese quantitative easing policy between March 1995 and September 2010. Monetary policy shocks are identified by means of a data-driven Structural VAR approach. Accordingly, our results rely exclusively on the statistical properties of the data through non-Gaussian identification. We show that carry trades, by altering the portfolio re-balancing channel, have attenuated the impact of the Japanese quantitative easing policy on growth.

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Dates et versions

hal-03157207 , version 1 (02-03-2021)

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  • HAL Id : hal-03157207 , version 1

Citer

Thomas Chuffart, Cyril Dell'Eva. The role of carry trades on the effectiveness of Japan's quantitative easing. International Economics , 2020, 161, pp.30-40. ⟨hal-03157207⟩
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